FORM Options History — May 2010

In May 2010, FORM traded between $12.50 and $15.02. ATM implied volatility averaged 53.4%, placing in the 72.7% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded below realized volatility by 17.0% (HV 20d: 70.4%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.28.

Notable Days

  • 2010-05-20: Highest Volume — 1,682 contracts
  • 2010-05-27: Largest IV drop — 22.6% change
  • 2010-05-07: Highest IV Rank — 100.0%
  • 2010-05-20: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.66$12.50$15.02$15.02$12.87
Max Pain$15.75$15.00$17.50$17.50$15.00
ATM IV53.4%43.9%65.1%43.9%51.9%
Expected Move15.2%12.6%18.7%12.6%14.9%
HV 20d70.4%41.1%80.8%80.3%49.7%
HV 60d55.6%54.3%58.2%54.3%58.2%
IV Rank72.7%49.9%100.0%50.9%66.4%
IV Percentile90.3%59.1%100.0%59.1%91.7%
Term Structure-1.3%-5.8%7.6%1.2%-0.5%
VWIV51.0%38.8%64.1%43.9%45.9%
Skew 25d-1.0%-9.7%8.2%-9.7%-4.0%
Skew 10d-5.4%-22.3%17.8%-15.7%-7.6%
Call IV 25d50.8%41.4%60.8%47.3%51.3%
Put IV 25d49.8%35.6%65.8%37.6%47.3%
Bid-Ask Spread %19.699.7645.619.7622.88
Gamma HHI0.410.330.550.550.35
Net GEX-77.0K-101.0K-56.4K-101.0K-80.3K
Net DEX4.8M4.2M5.4M4.4M4.8M
Net VEX-25.1K-28.2K-20.5K-27.1K-21.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.224.530.760.45
Total Volume552.61281,6821,253128
Total OI14,827.1513,58216,11213,70414,418

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$15.02$17.5043.9%12.6%80.3%50.9%43.9%-9.7%1.2%-101.0K4.4M-27.1K0.769.76N/AN/A7125416,0967,608
2010-05-04$14.41$17.5047.6%13.6%80.8%61.3%47.2%-7.3%-0.6%-88.2K4.8M-26.2K0.4511.52N/AN/A4932226,3867,594
2010-05-05$14.66$17.5049.3%14.1%80.1%66.0%38.8%-4.5%-2.4%-83.7K4.2M-28.2K0.3314.58N/AN/A3311096,6947,527
2010-05-06$14.15$17.5053.2%15.3%79.7%77.2%41.0%-8.7%-2.6%-75.1K4.3M-27.3K0.5745.61N/AN/A3942256,6477,530
2010-05-07$13.65$17.5063.5%16.7%79.6%100.0%57.9%3.4%-3.0%-70.6K5.1M-25.3K0.5615.43N/AN/A7314086,5377,558
2010-05-10$13.85$17.5054.2%15.0%79.3%75.4%54.3%-2.2%-2.4%-70.6K4.7M-26.1K0.8122.31N/AN/A3933176,9787,621
2010-05-11$14.04$15.0050.4%14.6%79.7%65.3%53.1%3.3%-1.1%-72.8K4.6M-27.2K1.9220.35N/AN/A2254317,2317,782
2010-05-12$14.40$15.0047.2%13.6%73.9%56.7%52.5%2.1%0.0%-83.3K4.3M-28.2K0.2216.53N/AN/A192427,2498,037
2010-05-13$14.02$15.0047.7%13.7%73.3%58.2%48.9%0.5%0.8%-78.6K4.7M-26.8K2.3722.60N/AN/A2014777,2478,050
2010-05-14$13.76$15.0049.9%14.3%73.3%63.9%49.6%-0.0%-1.1%-83.5K5.2M-26.5K0.8411.48N/AN/A1251057,4308,316
2010-05-17$13.97$15.0051.9%14.9%74.1%69.3%51.3%-0.8%-2.7%-85.9K4.9M-26.5K0.5015.67N/AN/A117587,5028,347
2010-05-18$13.41$15.0055.9%16.0%73.8%79.8%56.7%-0.1%-4.4%-79.6K5.4M-25.0K0.5211.58N/AN/A175917,5788,329
2010-05-19$13.60$15.0055.4%15.9%74.6%78.4%0.0%3.4%-1.9%-80.3K5.3M-25.7K1.8010.53N/AN/A561017,7228,369
2010-05-20$12.94$15.0065.1%18.7%73.9%100.0%64.1%-6.2%-4.0%-63.8K5.3M-24.7K3.2418.63N/AN/A3971,2857,7318,381
2010-05-21$13.08$15.0063.3%18.1%74.8%95.4%58.5%8.2%-5.8%-56.4K4.9M-23.4K0.8728.34N/AN/A2612277,9087,809
2010-05-24$12.64$15.0059.2%17.0%74.9%84.9%58.6%-6.3%-1.1%-58.5K4.6M-20.5K4.5319.26N/AN/A1135126,4507,132
2010-05-25$12.81$15.0054.3%15.6%41.1%72.4%55.4%8.0%-0.0%-72.4K4.9M-21.3K3.0335.00N/AN/A1083276,5017,589
2010-05-26$12.50$15.0058.7%16.8%41.3%83.6%51.4%-4.9%-2.4%-69.0K5.1M-20.9K1.1913.12N/AN/A961146,5457,819
2010-05-27$13.40$15.0045.4%13.0%50.2%49.9%40.1%5.1%7.6%-86.8K4.4M-22.8K0.6428.72N/AN/A129836,5647,731
2010-05-28$12.87$15.0051.9%14.9%49.7%66.4%45.9%-4.0%-0.5%-80.3K4.8M-21.6K0.4522.88N/AN/A88406,6327,786